Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles

By Chenchuramaiah T. Bathala. 2005

461 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/09db4458114d1c67bd1b93053d77e07674b6112e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

Networks in Production: Asset Pricing Implications (2017, unknown): “Unlevered Consumption Claim and Preferences The long run risk term and preference calibration is based on Bansal and Yaron (2004). The long run term xt is very persistent (ρx = 0.”
The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (2005, unknown): “This plays a potentially important role in understanding risk premia [Bansal and Yaron (2004)].”
Information Acquisition and Welfare (2014, background): “ where  ≡ ln(), ̄ ≡ R [01] ,  ≡ R [01] ( − ̄)(2)  and  ≡ ln() The expression in (12) is obtained by combining standard properties of the demand functions in the familiar monopolisticcompetition model with isoelastic preferences and a log-Normal structure of all relevant variab”
Lazy Investors, Discretionary Consumption, and the Cross Section of Stock Returns (2007, methodology): “Substituting the expression formt;t+j given by equation (5) into equation (4) and simplifying gives:”
Stock Price Booms and Expected Capital Gains (2017, unknown): “Campbell and Cochrane (1999) and Bansal and Yaron (2004), for example, present models in which stock price uctuations reect the interaction of investor preferences and stochastic driving forces in a setting with optimizing investors who hold rational expectations.”
Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014, unknown): “In contrast, more traditional asset pricing models, such as the habit model of Campbell and Cochrane (1999) and long-run risks model of Bansal and Yaron (2004), can explain important stylized facts, but they leave no role for technical analysis.”
The Cross-Section and Time-Series of Stock and Bond Returns (2017, unknown): “Likewise, the implications of the long-run risk model of Bansal and Yaron (2004) for the term structure of interest rates were studied by Piazzesi and Schneider (2006), while Bansal, Dittmar, and Lundblad (2005) and Bansal, Dittmar, and Kiku (2007) separately study the implications for the cross-sec”
Predictability of Returns and Cash Flows (2011, unknown): “In the past twenty years, research in asset pricing has proposed several equilibrium models with efficient markets that generate time variation in expected returns: models with time-varying risk aversion (Campbell and Cochrane, 1999), time-varying aggregate consumption risk (Bansal and Yaron, 2004; ”
Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital (2013, background): “Although AK models are useful in studying economic growth in the long run, empirical studies (see, for example, Benhabib and Jovanovic (1991), Benhabib and Spiegel (1994), Romer (1990), and King and Levine (1994)) emphasize the importance of decreasing returns to physical capital in understanding ma”
Investor sentiment aligned: : A powerful predictor of stock returns (2015, background): “17The time variation in discount rate can be driven by rational reasons such as ICAPM and market volatility risk in Merton (1973, 1980), long run risk in Bansal and Yaron (2004), and disaster risk in Gabaix (2012), or behavioral reasons such as habit formation in Campbell and Cochrane (1999) and pro”
Stock-Market Crashes and Depressions (2017, unknown): “For example, Gabaix (2008) relies on movements in p, whereas Bansal and Yaron (2004) rely on shifts in long-run growth rates, g.”